Question about CoVaR computation

[Liyang-Guo]

Hi Tommaso,

Thanks for the amazing works, the toolbox is quite useful！ And I‘m really confused about the output of CROSS-SECTIONAL MEASURES. CoVaR computation requires the coefficients estimates through quantile regression, b = quantile_regression(y,x,a), how to get the estimation results of the coefficient "b"?

Best regards, Guo